First Lady is the rank AFTER you reach the rank of President. You have to go through 5 different general ranks before you get to President.

The easiest way to earn this achievement is to finish the game and then replay the last level (Paris Day 7) over and over again on easy. You can lose a rank (be demoted) so this way as long as you don't lose on the last boss (who is in my opinion the easiest in the game) you will slowly rank up. It took about 6 or 7 times on easy to rank up from President to First Lady.